TY - JOUR

T1 - Generating random correlation matrices by the simple rejection method: Why it does not work.

AU - Böhm, Walter

AU - Hornik, Kurt

PY - 2014

Y1 - 2014

N2 - We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.

AB - We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.

UR - http://www.sciencedirect.com/science/article/pii/S0167715213004112

U2 - 10.1016/j.spl.2013.12.012

DO - 10.1016/j.spl.2013.12.012

M3 - Journal article

SN - 0167-7152

VL - 87

SP - 27

EP - 30

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -